George Jiang

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High-Frequency Trading around Macroeconomic News Announcements: Evidence from the U.S. Treasury Market

Staff Working Paper 2014-56 George Jiang, Ingrid Lo, Giorgio Valente
This paper investigates high-frequency (HF) market and limit orders in the U.S. Treasury market around major macroeconomic news announcements. BrokerTec introduced i- Cross at the end of 2007 and we use this exogenous event as an instrument to analyze the impact of HF activities on liquidity and price efficiency.
Content Type(s): Staff Research, Staff Working Papers Topic(s): Financial markets JEL Code(s): G, G1, G10, G12, G14

Private Information Flow and Price Discovery in the U.S. Treasury Market

Staff Working Paper 2011-5 George Jiang, Ingrid Lo
Existing studies show that U.S. Treasury bond price changes are mainly driven by public information shocks, as manifested in macroeconomic news announcements and events. The literature also shows that heterogeneous private information contributes significantly to price discovery for U.S. Treasury securities.

Information Shocks, Jumps, and Price Discovery - Evidence from the U.S. Treasury Market

Staff Working Paper 2008-22 George Jiang, Ingrid Lo, Adrien Verdelhan
We examine large price changes, known as jumps, in the U.S. Treasury market. Using recently developed statistical tools, we identify price jumps in the 2-, 3-, 5-, 10-year notes and 30-year bond during the period of 2005-2006.
Content Type(s): Staff Research, Staff Working Papers Topic(s): Financial markets JEL Code(s): G, G1, G12, G14

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